PFE Options History — February 2016

In February 2016, PFE traded between $27.16 and $29.03. ATM implied volatility averaged 21.9%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.7% (HV 20d: 17.2%). Max pain ranged from $29.41 to $31.31. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.98.

Notable Days

2016-02-03: Highest Volume — 213,151 contracts
2016-02-08: Largest IV spike — 11.1% change
2016-02-11: Highest IV Rank — 62.6%
2016-02-11: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.10	$27.16	$29.03	$28.61	$28.17
Max Pain	$30.22	$29.41	$31.31	$30.36	$29.41
ATM IV	21.9%	19.1%	26.2%	21.5%	20.2%
Expected Move	6.3%	5.5%	7.4%	6.5%	5.9%
HV 20d	17.2%	15.4%	20.1%	16.4%	20.1%
HV 60d	18.8%	16.9%	20.0%	19.3%	17.0%
IV Rank	44.4%	32.7%	62.6%	42.9%	37.1%
IV Percentile	68.2%	53.2%	90.5%	68.3%	55.2%
Term Structure	-0.1%	-0.9%	1.3%	-0.3%	0.2%
VWIV	22.1%	18.8%	25.8%	23.7%	19.5%
Skew 25d	4.3%	2.9%	5.5%	4.1%	2.9%
Skew 10d	10.0%	5.0%	14.6%	12.8%	5.8%
Call IV 25d	20.3%	17.5%	23.9%	20.1%	19.1%
Put IV 25d	24.6%	20.8%	28.9%	24.1%	22.0%
Bid-Ask Spread %	14.81	10.09	19.25	18.82	15.23
Gamma HHI	0.23	0.20	0.27	0.27	0.22
Net GEX	-27.2M	-43.3M	-1.9M	-38.7M	-8.1M
Net DEX	1.02B	433.2M	1.45B	1.07B	788.1M
Net VEX	-9.4M	-10.2M	-8.1M	-8.2M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.32	4.48	0.93	0.32
Total Volume	92,071.2	45,367	213,151	139,264	54,600
Total OI	1,828,327.7	1,565,629	2,024,070	1,565,629	1,879,927

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2016-02-01	$28.61	$30.36	21.5%	6.5%	16.4%	42.9%	23.7%	4.1%	-0.3%	-38.7M	1.07B	-8.2M	0.93	18.82	72,288	66,976	618,963	946,666
2016-02-02	$28.56	$30.36	21.9%	6.1%	16.0%	44.3%	22.4%	4.5%	-0.2%	-39.6M	1.11B	-8.3M	0.91	13.24	45,807	41,868	655,380	988,515
2016-02-03	$28.10	$30.36	21.5%	6.3%	16.3%	42.7%	21.5%	4.8%	-0.1%	-42.7M	1.19B	-8.4M	4.48	19.25	38,885	174,266	655,436	1,006,707
2016-02-04	$27.52	$31.31	22.3%	6.4%	16.8%	46.0%	23.0%	4.1%	-0.0%	-43.3M	1.38B	-8.1M	0.43	13.82	76,655	32,813	673,907	1,065,199
2016-02-05	$27.42	$31.31	22.4%	6.4%	16.8%	46.7%	23.6%	5.1%	-0.1%	-42.4M	1.42B	-8.8M	1.22	14.73	30,994	37,843	716,134	1,095,891
2016-02-08	$27.16	$31.31	24.9%	6.9%	16.0%	57.1%	25.1%	5.5%	-0.8%	-39.2M	1.45B	-8.7M	0.93	16.80	46,420	43,049	704,905	1,094,435
2016-02-09	$27.54	$30.36	25.6%	7.1%	17.0%	60.1%	24.7%	4.5%	-0.9%	-37.5M	1.31B	-9.4M	0.39	18.88	99,072	38,983	726,045	1,108,023
2016-02-10	$28.01	$30.36	24.4%	6.8%	18.5%	54.8%	24.3%	5.1%	-0.9%	-32.8M	1.09B	-9.7M	0.68	14.69	50,417	34,099	777,014	1,122,303
2016-02-11	$27.71	$30.36	26.2%	7.4%	17.5%	62.6%	25.8%	4.9%	-0.6%	-29.2M	1.15B	-10.0M	0.75	10.09	46,058	34,530	808,692	1,124,924
2016-02-12	$27.83	$30.36	24.6%	7.2%	15.4%	56.0%	24.9%	4.8%	0.5%	-32.6M	1.12B	-9.9M	0.96	12.94	26,436	25,292	818,537	1,136,381
2016-02-16	$28.22	$30.36	22.4%	6.4%	16.3%	46.8%	23.1%	4.4%	1.3%	-39.3M	1.01B	-10.0M	1.00	13.71	25,994	26,007	813,648	1,133,504
2016-02-17	$28.12	$30.36	20.8%	6.0%	16.3%	39.9%	21.1%	5.1%	0.4%	-35.7M	1.06B	-9.8M	0.87	11.20	34,268	29,694	824,313	1,143,032
2016-02-18	$28.02	$30.36	21.0%	6.0%	16.3%	40.6%	22.3%	4.5%	0.6%	-31.1M	1.11B	-9.4M	1.42	17.41	59,062	83,818	839,061	1,139,761
2016-02-19	$27.92	$30.36	20.8%	6.1%	16.3%	39.7%	19.6%	4.3%	-0.9%	-19.1M	1.20B	-9.3M	0.39	12.20	89,024	34,881	863,614	1,160,456
2016-02-22	$28.53	$29.41	19.1%	5.5%	18.2%	32.7%	19.1%	3.3%	-0.1%	-9.5M	654.6M	-9.6M	0.75	14.26	39,162	29,334	716,367	1,014,431
2016-02-23	$28.46	$29.41	19.5%	5.7%	17.8%	34.5%	19.4%	3.9%	-0.2%	-8.5M	661.2M	-9.8M	0.58	16.98	28,730	16,637	732,323	1,029,556
2016-02-24	$28.46	$29.41	19.7%	5.6%	17.7%	35.2%	19.8%	3.5%	-0.3%	-7.3M	689.0M	-9.9M	1.09	11.91	23,875	26,080	747,727	1,039,555
2016-02-25	$29.03	$29.41	19.4%	5.7%	19.1%	34.0%	21.2%	3.4%	0.1%	-1.9M	433.2M	-10.2M	0.85	13.86	42,678	36,098	760,170	1,050,707
2016-02-26	$28.64	$29.41	19.6%	5.7%	19.5%	34.9%	18.8%	4.0%	0.1%	-5.5M	595.6M	-10.1M	0.67	16.10	59,265	39,466	776,277	1,058,068
2016-02-29	$28.17	$29.41	20.2%	5.9%	20.1%	37.1%	19.5%	2.9%	0.2%	-8.1M	788.1M	-10.0M	0.32	15.23	41,436	13,164	806,234	1,073,693